On the volatility of the yield curve of the Colombian public debt market

This paper estimates the volatility of the Temporary Structure of Interest Rates (ETTI) of the Colombian public debt market and explains its relationship with macroeconomics fundamentals. Starting from the parametric model proposed by Nelson and Siegel (1987), the ETTI is estimated in order to captu...

Full description

Autores:
Sánchez, José Miguel
Trespalacios Carrasquilla, Alfredo
Tipo de recurso:
Fecha de publicación:
2018
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/13121
Acceso en línea:
http://hdl.handle.net/10784/13121
Palabra clave:
E43
E44
temporary structure of interest rates
Volatility
Autoregressive vectors
Principal components
Causality
Estructura temporal de las tasas de interés
Volatilidad
Vectores autorregresivos
Componentes principales
Causalidad
Rights
License
Copyright (c) 2018 José Miguel Sánchez, Alfredo Trespalacios Carrasquilla